[SciPy-user] Optimization fmin_tnc with equality constraint

[Adrien Aulagnier]

Hello

Sorry to disturb you. My question might be simple:

The function to minimize is simply f (w) = w' *  Sigma * w

with w a vector and Sigma a square matrix

The constraints are :

 0 <= w <= 1
 sum(w) = 1

This last constraint is my problem.

Could you give me some clue ?

Thanks for your help
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://mail.scipy.org/pipermail/scipy-user/attachments/20090420/7174b8ed/attachment.html>